Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0797
Annualized Std Dev 0.2654
Annualized Sharpe (Rf=0%) 0.3005

Row

Daily Return Statistics

Close
Observations 3622.0000
NAs 1.0000
Minimum -0.1507
Quartile 1 -0.0064
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0084
Maximum 0.1545
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0167
Skewness -0.5474
Kurtosis 9.9361

Downside Risk

Close
Semi Deviation 0.0124
Gain Deviation 0.0113
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.6445
Historical VaR (95%) -0.0252
Historical ES (95%) -0.0417
Modified VaR (95%) -0.0262
Modified ES (95%) -0.0542
From Trough To Depth Length To Trough Recovery
2007-12-27 2008-11-20 2017-04-25 -0.6445 2346 229 2117
2020-02-21 2020-03-23 2020-07-17 -0.3670 103 22 81
2018-01-29 2018-12-24 2019-05-03 -0.2237 318 229 89
2021-01-08 2021-03-08 NA -0.1296 50 40 NA
2007-07-16 2007-08-16 2007-10-01 -0.1219 55 24 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -2.4 -1.4 -0.7 -4.4
2007 0.8 -1 -0.2 -0.7 1.2 -0.6 -0.1 1.8 2.5 -2.7 -0.2 -1.5 -0.6
2008 4.1 -2.3 3.3 1.2 2.1 -1.7 -0.8 -0.9 4.3 1.5 -8.2 2.8 4.9
2009 -1 -1.2 3.2 0.8 3.8 1.8 0.4 -2.9 -3.8 -3 2.7 -0.3 0.2
2010 1.5 1.5 0.7 -2.4 -2.5 0.4 -0.7 3.6 0.3 -0.9 2.7 0.1 4.1
2011 1.7 -1.8 0 0.8 -2.6 1.3 -0.9 -2.2 -2.5 -4.2 -0.1 0.1 -10.2
2012 2.4 -0.3 0.9 1.3 -3.9 3.9 -0.9 0.8 0.5 1.5 -0.1 1.3 7.4
2013 1 -0.6 -1.3 -0.9 -1.1 1.1 1.2 -0.9 1.3 -0.3 0.4 0.8 0.6
2014 -1 0.2 1.2 -0.1 0 0.6 -0.3 0 -1.5 1 -1.6 -0.1 -1.6
2015 -1 0.6 0.1 0 0 0.3 0.1 -2.8 -0.4 0.6 0.2 -0.9 -3.1
2016 0.1 2.5 -0.9 -2.2 0.6 0.9 0.7 0.9 1.2 -1.3 -0.2 0.3 2.3
2017 0.2 1.8 0 0.3 1.1 0.6 0.6 0.1 0.4 -0.4 -1.1 -0.5 3
2018 0.4 -1.2 1.5 -0.4 0.8 0.6 -1 -0.2 -1.3 2.1 -0.1 0.4 1.6
2019 0.3 0.4 1.8 -0.6 -1.1 0.9 -1.2 0.4 -2 1.7 -0.5 0 0
2020 -1.6 -0.1 -5.6 -4.2 2 -0.6 -1.7 0.9 1.9 -0.9 0.3 0 -9.3
2021 2.2 3.1 0.5 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2006-10-24  24.7 SPY    138.  0.003    0.0108   0.0408   0.0871    0.149    0.334    0.266 GLD    58.2 0.0071 -0.0082 
2 2006-10-25  25.0 SPY    138.  0.0034   0.0129   0.0357   0.0919    0.156    0.336    0.274 GLD    58.8 0.0101  0.00290
3 2006-10-26  25.3 SPY    139.  0.0031   0.0144   0.0377   0.0844    0.163    0.339    0.255 GLD    59.3 0.009  -0.002  
4 2006-10-27  24.9 SPY    138. -0.0063   0.0078   0.0316   0.0787    0.168    0.313    0.250 GLD    59.4 0.0019  0.0105 
5 2006-10-30  25.1 SPY    138. -0.0007   0.0025   0.0317   0.0832    0.150    0.310    0.283 GLD    59.9 0.0084  0.037  
6 2006-10-31  25.0 SPY    138. -0.0001  -0.0007   0.0354   0.0758    0.147    0.307    0.298 GLD    60.2 0.0057  0.0356 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart